Going overnight

Discussion in 'Index Futures' started by Kicking, Jul 3, 2003.

  1. To emini swingtraders:

    Which brokers allow you to trade 24/24? I heard IB shuts down for an hour around midnight. Is there anything I should know before taking overnighters ex: type of orders not accepted, halted trading procedures etc.?

    I will be able to monitor the markets during the night session . I am trying to define the maximum risk of gap. Anyone remembers where the eminis were halted the morning of 9/11, and how fast they came down? I can't get accurate data for the NDX on 10/19/87(anyone has a daily chart?) I understand the market gapped down big on that day recovered a bit then plunged in the abyss. How much did it gap down? Are those two instances the worst opens in the last century ?
  2. Kicking ---

    According to my data, on 9/11/01, ES was trading at 1100 at 8:56ET, and it moved down for the next 34 minutes with one major jerky spurt between 9:05 and 9:11 (!) ET. The last trade I have recorded was exactly at 9:30ET, at 1073.25 ---- a loss of 26-27 points from its average range from 8-9AM ET that morning.

    I don't have NDX data going back that far, but the COMP might serve as a decent proxy. On 10/16/87 the $COMPQ closed at 406.33 and then reopened Monday morning 10/19/87 at 360.21. It also closed there (360.21) Monday afternoon, apparently because that was a limit move down and trading was effectively halted, only to gap down again to 327.79 on Tuesday's opening, 10/20/87. So the COMP lost nearly 20% of its value in just two gap down openings.
  3. If memory serves, the largest most recent gaps in the index futures occured during the controversy over the Florida vote in the 2000 election. The Florida Supreme Court was issuing rulings that seemed to make Al Gore president, until the US Supreme court overruled them. On two consecutive days there were haywire gaps in SP and ND ---- unfortunately I don't have sufficiently accurate ES and NQ data, but SP and ND should give some idea of what happened overnight.

    SP close 12/7/00 1356.00 SP open 12/8/00 1384.00
    ND close 12/7/00 2720.00 ND open 12/8/00 2873.00

    SP close 12/8/00 1355.00 SP open 12/11/00 1388.00
    ND close 12/8/00 2808.00 ND open 12/11/00 2940.00

    Of course the dollar values of those gaps were inflated in comparison to today's levels because both SP and ND were trading at considerably higher levels in 2000, but it certainly would be prudent to allow for equivalent possible percentage moves today.
  4. Ebo


    I was under the impression that S&P and NAZ E minis shut down from 10PM-11PM CENTRAL Time.

    That is why you get no data!
    I once tried trading em and could not figure out why.
    My broker @ Refco told me why!

  5. Of course, there were also the gaps caused by the events of 9/11 and the following period from that morning until the markets reopened on 9/17.

    ES closed at 1101.00 on 9/10 and according to my ES200112 charts, the trades between 4:15 ET and the morning of 9/11 were effectively busted. The reopen of ES at 9:20ET on 9/17 traded limit down for 30 minutes at 1041.50, then as limits were removed traded at 1028.75 at 9:50ET and went as low as 1022.50 before beginning a huge rally. And ND essentially gapped from 1370 to 1292 over that period.
  6. If ES was down 27 points, NQ must have been limit down (i.e -60 ). I think they were down something like 40 or 60 ... they also probably dropped much faster. NDX opened 88 points lower on 9/17/01.

    The CME site says there is a 5% limit up/down during ETH, I understand the limit is not lifted at 9:30 ET in case of a limit down because the 5% RTH limit will then be in effect (from the CME website):

    "Down only. Once a limit offer has been established, trading can occur at or above this limit for 10 minutes or until 2:30 p.m. CT. Trading will halt for two minutes if the primary futures contract is limit offer at the end of the 10 minutes or at 2:30 p.m. CT. Trading will resume with the 10% limit in effect."

    Does that mean that if the limit is triggered before 2:30 pm CT the limit is not lifted until that time ?
  7. 3dog


    That's because Globex shuts down for maintainence then. See
  8. Yeah... swing rocks!

    Swing baby! Woot!

    Anyways... what ever?
  9. I have saved a lot charts since 2001 . Here's one NQ September 2001 chart.
    #10     Jul 4, 2003